Petroleum Science >2019,??Issue 1:??199-216 DOI: https://doi.org/10.1007/s12182-018-0279-1
Risk measurement of international oil and gas projects based on the Value at Risk method Open?Access
文章信息
作者：Cheng Cheng, Zhen Wang, Ming-Ming Liu and Xiao-Hang Ren
作者單位：
School of Management Science and Engineering, Shanxi University of Finance and Economics, Taiyuan 030006, Shanxi, China,Academy of Chinese Energy Strategy, China University of Petroleum-Beijing, Beijing 102249, China,Academy of Chinese Energy Strategy, China University of Petroleum-Beijing, Beijing 102249, China and School of Mathematical Sciences, University of Southampton, Southampton SO17 1BJ, UK
投稿時間：2018-01-20
引用方式：Cheng, C., Wang, Z., Liu, MM. et al. Pet. Sci. (2019) 16: 199. https://doi.org/10.1007/s12182-018-0279-1
文章摘要
International oil and gas projects feature high capital-intensity, high risks and contract diversity. Therefore, in order to help decision makers make more reasonable decisions under uncertainty, it is necessary to measure the risks of international oil and gas projects. For this purpose, this paper constructs a probabilistic model that is based on the traditional economic evaluation model, and introduces value at risk (VaR) which is a valuable risk measure tool in finance, and applies VaR to measure the risks of royalty contracts, production share contracts and service contracts of an international oil and gas project. Besides, this paper compares the influences of different risk factors on the net present value (NPV) of the project by using the simulation results. The results indicate: (1) risks have great impacts on the project’s NPV, therefore, if risks are overlooked, the decision may be wrong. (2) A simulation method is applied to simulate the stochastic distribution of risk factors in the probabilistic model. Therefore, the probability is related to the project’s NPV, overcoming the inherent limitation of the traditional economic evaluation method. (3) VaR is a straightforward risk measure tool, and can be applied to evaluate the risks of international oil and gas projects. It is helpful for decision making.
關鍵詞
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Risk measurement, Value at risk, International oil and gas projects, Fiscal terms, Probabilistic model